A Relation Analysis of Markov Decision Process Frameworks

• URL: http://arxiv.org/abs/2008.07820v1
• Date: Tue, 18 Aug 2020 09:27:26 GMT
• Title: A Relation Analysis of Markov Decision Process Frameworks
• Authors: Tien Mai and Patrick Jaillet
• Abstract summary: We study the relation between different Decision Process (MDP) frameworks in the machine learning and econometrics literature. We show that the entropy-regularized MDP is equivalent to a MDP model, and is strictly subsumed by the general regularized MDP.
• Score: 26.308541799686505
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We study the relation between different Markov Decision Process (MDP) frameworks in the machine learning and econometrics literatures, including the standard MDP, the entropy and general regularized MDP, and stochastic MDP, where the latter is based on the assumption that the reward function is stochastic and follows a given distribution. We show that the entropy-regularized MDP is equivalent to a stochastic MDP model, and is strictly subsumed by the general regularized MDP. Moreover, we propose a distributional stochastic MDP framework by assuming that the distribution of the reward function is ambiguous. We further show that the distributional stochastic MDP is equivalent to the regularized MDP, in the sense that they always yield the same optimal policies. We also provide a connection between stochastic/regularized MDP and constrained MDP. Our work gives a unified view on several important MDP frameworks, which would lead new ways to interpret the (entropy/general) regularized MDP frameworks through the lens of stochastic rewards and vice-versa. Given the recent popularity of regularized MDP in (deep) reinforcement learning, our work brings new understandings of how such algorithmic schemes work and suggest ideas to develop new ones.

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